SERVICES → RISK MANAGEMENT
Linktera Financial Risk Solutions
Selected as the best partner in the MEA region in 2017 thanks to the successful projects carried out with the SAS Risk Solutions product family, Linktera once again crowned its success as the first partner to receive the "Gold Partner" title in the region in the fiscal year of 2019.
Linktera Financial Risk Solutions team provides services in the fields of consultancy, implementation, system integration and automation to the institutions we serve in the fields of Asset Liability Risk Management, Fund Transfer Pricing and Market Risk.
In this context, we continue to create added value with the participation of our new customers and solution-oriented stakeholders, especially Türkiye Ekonomi Bankası, Denizbank and Ziraat Participation Bank.
Asset Liability Risk Management (ALM)
1. Analyzing the valuations of all products and instruments in a healthy, complete and accurate manner, as well as the current rediscounts of the bank, as well as the future cash flows.
2. Minimizing the liquidity and interest risk arising from the current balance sheet structure, cash flow-maturity-duration and repricing mismatch.
3. Maximizing current interest/profit share income (NII) and economic value of capital (EVE) based on the Income and Value approach.
4. Customer, rating, maturity etc. determining and diversifying concentrations on the basis of
5. Management of liquidity and interest risk limits within the scope of legal obligations,
6. Managing risks and returns in stressful conditions (market, customer behavior, etc.),
7. Estimating the effects of new product (or hedge) strategies on the risk and return composition.
8. Creation of input reports for decision making and review studies (ALCO).
Asset Liability Management Solution Our Outputs:
• Cash Flow Analysis
• Daily flow analysis on a granular basis
• Scenario-based Dynamic/Static Reports:
• Liquidity Shortage,
• Interest/Dividend Deficit,
• Duration Gap,
• DV01, Repricing Risk,
• Average Maturity Analysis
• Net Interest/Dividend Income Analysis (Monte Carlo, Historical Simulation, Variance-Covariance)
• Economic Value Analysis (Monte Carlo, Historical Simulation, Variance-Covariance)
• Dynamic Balance Sheet Analysis: The balance sheet is aged within the time horizon determined by the user.
• Market risk factors and/or
• Customer behavior and/or
• Effects of anticipated changes in balance sheet composition and/or size (growth/shrink) on net interest income and economic value of capital.
• It is reported considering the instrument/product rollover and/or the instrument/product runoff.
• Legal Reports: LCR, NSFR, FR400, FR300, LR101, LR420, BL202, BL203, Interest Rate Risk of Banking Book (IRRBB-Basel IV)
• Management Reports: Concentration (customer, segment, maturity, rating, etc.) and limit control reports
• Stock-Marginal weighted average ratio/spread reports (cost and return profiles),
• Maturity-based concentration (customer, segment, maturity, rating, etc.)
• Cross-selling, customer profitability/risk reports
• All management reports within the scope of other customization
• Modeling/Calibration (scenario input generation):
o Prepayment
o Early Redemption/Withdrawal
o Core Deposit
Fund Transfer Pricing and Performance Management (FTF)
1. Accurate determination of bank funding and utilization costs due to the funding source structure of the Treasury or ALM unit.
2. Optimizing the real cost oriented Net Interest Margin.
3. Analyzing the profitability performances of business lines, branches, customers in a more transparent and uniform structure, etc.
Fund Transfer Pricing and Management Solution Our Outputs:
• FTF Pricing
• Assigning FTF rates at different frequencies for fixed or variable rate payment structure, over the bank's cost curves, to products covered by FTF
• FTF Calculation Methods: Duration, Conjugate-Maturity, Cash Flow
• FTF Analysis Report (daily)
• In the daily FTF Result report, rediscount on the basis of transaction/product, net interest margin (FTF), net cash flow margin, etc. calculation variables are reported together with many different qualitative variables (customer, line of business, branch, segment, maturity, etc.).
• Performance Report (periodic): In certain periods (eg month-ends), the profitability in the desired time interval is reported in different breakdowns.
Market Risk Management (MR)
1. Managing the risk factor diversity and correlation structure in the portfolio
2. Complete and accurate pricing of instruments (Vanilla, Exotic, Structured, etc.).
3. Minimizing the systematic loss of value (market risk) in the portfolio.
4. Management of market risk limits within the scope of legal obligation and calculation and reporting of Amount Subject to Market Risk
5. Monitoring and reporting of market risk limits within the scope of internal reporting
6. Determination of new position strategies by analyzing the diversification/hedge effect on the portfolio as well as possible market stress scenarios.
7. Creating inputs to ALM/Treasury risk units by analyzing the relation between Market Liquidity Risk and Funding Liquidity Risk
Market Risk Management Solution Our Outputs:
• Instrument Pricing
• Pricing of vanilla and exotic type instruments (MtM)
• Calculation of instrument sensitivities (duration, convexity, greeks, etc.)
• Risk Measurement Pricing
• Instrument/Portfolio based Value at Risk (VaR) with Monte Carlo, Historical Simulation, Variance-Covariance methods,
• Instrument/Portfolio based Expected Loss (ES) with Monte Carlo, Historical Simulation, Variance-Covariance methods,
• Backtesting.
• Instrument/Portfolio based Stressed VaR/ES calculations,
• Instrument/Portfolio based Scenario Analysis
• Legal Reports: PRXXX, ERXXX, Fundamental Review of Trading Book (FRTB-Basel IV), FR400, FR300, LR101, LR420, BL202, BL203
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